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Comparison of Box-Jenkins and Bonn Monetary Model Prediction Performance (Lecture Notes in Economics and Mathematical Systems) - Softcover

Bhattacharyya, M. N.

 
9783540100119: Comparison of Box-Jenkins and Bonn Monetary Model Prediction Performance (Lecture Notes in Economics and Mathematical Systems)
Softcover
ISBN 10: 3540100113 ISBN 13: 9783540100119
Verlag: Springer Berlin Heidelberg, 1980

Inhaltsangabe

1. Introduction.- 2. Bonn econometric model of German economy.- 3. ARIMA models for fifteen endogenous variables of the BNM model.- 4. Analysis of sample period lead 1 forecast errors.- 5. Bates-Granger composite forecast and its application in evaluating econometric model.- 6. Analysis of post-sample lead 1 forecast errors.- 7. Causal relationships between selected economic variables.- 7.1 Granger's definition of causality and its characterization.- 7.2 Detection of causality: Pierce's broad tests.- 7.3 Causal relationships between the selected monetary variables of the BNM model.- 7.4 Progressive ?2 tests for detecting causality.- 7.5 Causal relationships between short-term interest rate, 90-day money rate Frankfurt, and other selected variables.- Glossary of abbreviations used in BNM model.

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Verlag
Springer Berlin Heidelberg
Erscheinungsdatum
1980
Sprache
Englisch
ISBN 10 
3540100113
ISBN 13 
9783540100119
Einband
Taschenbuch
Auflage
1
Anzahl der Seiten
146
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